Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0278
Annualized Std Dev 0.1942
Annualized Sharpe (Rf=0%) -0.1431

Row

Daily Return Statistics

Close
Observations 4169.0000
NAs 1.0000
Minimum -0.2263
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0040
Maximum 0.2195
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0122
Skewness -0.4574
Kurtosis 71.1619

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0099
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.6414
Historical VaR (95%) -0.0139
Historical ES (95%) -0.0286
Modified VaR (95%) -0.0041
Modified ES (95%) -0.0041
From Trough To Depth Length To Trough Recovery
2004-09-23 2008-12-15 NA -0.6414 4152 1066 NA
2004-08-30 2004-08-30 2004-09-01 -0.0005 3 1 2
2004-09-02 2004-09-02 2004-09-22 -0.0005 14 1 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA 0.1 0 0.4 0.2 0.5 1.2
2005 0.4 0.3 0.4 0.2 1 0.2 0.3 0.2 0.7 1.2 0.8 0 5.8
2006 0.6 0.7 0 0.7 0.3 -0.1 0.2 0.6 0.2 0.7 0.2 0.5 4.7
2007 -0.1 -0.6 -0.1 0.3 -0.2 0.1 -2.4 1.2 0.7 -0.8 0.8 0.8 -0.3
2008 0.4 -1.8 1.5 0.3 -0.3 -0.5 0.8 0.1 3.1 0.3 -4.4 -2.8 -3.5
2009 0.5 -2.1 0.5 4.9 1.2 1.6 0.5 -0.3 0 -2.2 1 -1.4 4.2
2010 0 0.8 0.2 -0.5 -0.7 0 0.1 -0.1 0.9 0.3 1.3 0.6 3
2011 -0.3 1.2 -0.3 -0.1 0.1 -1.1 2.1 0.4 -1.5 -0.5 2 -0.3 1.6
2012 1.2 -0.7 0.5 0.6 -0.4 -0.6 0 -0.1 2.1 0.7 -1.1 -1.1 0.9
2013 1.4 -0.2 0.1 -0.1 -1.8 0.1 0.3 -0.1 0.1 -0.5 0 -1.1 -1.7
2014 0.1 0.3 -0.7 0.4 0.1 0.1 -0.6 0.4 -0.6 0.2 -0.5 1.2 0.3
2015 0 0 0.1 -0.2 0.1 0.7 0.2 -0.2 0.9 -0.1 -0.4 0 1.1
2016 -0.5 1.7 -1.2 0.4 0.4 0.8 0.2 -0.1 -0.2 -1 0.7 -0.7 0.4
2017 0 0.4 -0.8 -0.2 -0.9 0.5 -0.1 -0.2 0.2 -0.3 -0.2 0.7 -1
2018 0.9 0.1 0.2 -0.1 -0.1 0.1 -0.4 -0.2 0.1 0.3 -0.3 0.2 0.7
2019 0.3 -0.1 0.4 0.5 -1.1 -0.1 -0.1 0.2 0.2 0.5 0.4 0.2 1.3
2020 -0.2 -2.5 -3.8 -1.7 1.6 0.2 0.2 0.3 0.5 0.7 0.6 -0.2 -4.3
2021 0.8 0.2 0.6 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-08-26  20   SPY    111.  0        0.0127   0.0091  -0.0102   0.110   -0.0571   -0.170 <NA>     NA    NA       NA
2 2004-08-27  20.0 SPY    111.  0.0032   0.0088   0.008   -0.0126   0.113   -0.0377   -0.183 <NA>     NA    NA       NA
3 2004-08-30  20   SPY    111. -0.0083   0.003   -0.0028  -0.0206   0.097   -0.0555   -0.193 <NA>     NA    NA       NA
4 2004-08-31  20   SPY    111.  0.0052   0.0069   0.0004  -0.0142   0.0953  -0.0471   -0.197 <NA>     NA    NA       NA
5 2004-09-01  20.0 SPY    111.  0.0019   0.002    0.0101  -0.016    0.0829  -0.0647   -0.186 <NA>     NA    NA       NA
6 2004-09-02  20   SPY    113.  0.0113   0.0133   0.0216   0.0044   0.0892  -0.0484   -0.166 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart